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Advisor(s)
Abstract(s)
O fenómeno do underpricing é responsável por uma parte significativa do dinheiro que é “deixado na mesa” pelas empresas quando estas emitem novas obrigações. As explicações para este fenómeno estão, normalmente, associadas a assimetrias de informação entre os vários agentes económicos, bem como a
problemas de liquidez. Seguindo a metodologia usada por Cai, Helwege and Warga (2007) e analisando uma amostra de 633 obrigações, este estudo foi capaz de apresentar evidencia suportando a existência de underpricing para uma amostra europeia de obrigações emitidas por empresas não financeiras. Esse underpricing, que é em média de 46 pontos base, representa para a obrigação mediana da amostra mais
de €2 milhões “deixados na mesa” aquando da emissão. Este estudo também apresenta evidencia de que o fenómeno do underpricing é causado principalmente por dois fatores, nomeadamente, a incerteza do mercado e o processo de bookbuilding. Finalmente, não foi encontrada evidência em favor de outros fatores de underpricing, como a reputação do emissor e problemas de liquidez.
The underpricing phenomenon is responsible for a significant part of the money that is “left on the table” by firms when issuing new bonds. The explanations for this phenomenon are often related with information asymmetries between the several economic agents and liquidity issues. Following Cai, Helwege and Warga (2007) methodology and analyzing a sample of 633 bonds, we find evidence supporting the existence of underpricing for a European sample of corporate bonds. This underpricing, with an average of 46 basis points, represents for the median bond in the sample, more than €2 million “left on the table” at issuance. This study also presents evidence that the underpricing phenomenon is caused by two factors, namely, market uncertainty and the bookbuilding process. Evidence in support of other underpricing factors such as the issuer reputation and liquidity problems were not found.
The underpricing phenomenon is responsible for a significant part of the money that is “left on the table” by firms when issuing new bonds. The explanations for this phenomenon are often related with information asymmetries between the several economic agents and liquidity issues. Following Cai, Helwege and Warga (2007) methodology and analyzing a sample of 633 bonds, we find evidence supporting the existence of underpricing for a European sample of corporate bonds. This underpricing, with an average of 46 basis points, represents for the median bond in the sample, more than €2 million “left on the table” at issuance. This study also presents evidence that the underpricing phenomenon is caused by two factors, namely, market uncertainty and the bookbuilding process. Evidence in support of other underpricing factors such as the issuer reputation and liquidity problems were not found.
Description
Keywords
Underpricing de obrigações Oferta inicial de obrigações Mercado europeu Bond underpricing Initial bond offering European Market